Improvisation & prep
Yes, you're making all this stuff up (or asking the players to). You'll do some prep in advance (see Prep) or pull from the setting guide, but during play you improvise many of the specifics.
Once a detail is established, treat it like it's been true all along. Build and riff on it. Look for connections. Ask yourself the obvious questions and decide on the (probably obvious) answers. Weave it all together into a rich, mysterious world.